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- W2556558736 abstract "Abstract We develop an analytical solution to the dynamic multi‐period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time varying returns and a multi‐period setting with the asset allocation of myopic ALM investors. In the absence of regulatory constraints on asset allocation weights, there are significant gains to investors who have access to a dynamic asset allocation model with liabilities. The gains are smaller under the typical funding ratio constraints faced by pension funds." @default.
- W2556558736 created "2016-11-30" @default.
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- W2556558736 date "2016-11-15" @default.
- W2556558736 modified "2023-10-18" @default.
- W2556558736 title "Dynamic Asset Allocation with Liabilities" @default.
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- W2556558736 doi "https://doi.org/10.1111/eufm.12097" @default.
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